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Duality and General Equilibrium Theory Under Knightian Uncertainty

Beissner, Patrick; Denis, Laurent

Description

Any dynamic or stochastic notion of a general equilibrium relies on the underlying commodity space. Under sole risk and without multiple-prior uncertainty, the usual choice is a Lebesgue space from standard measure theory. In the case of volatility uncertainty it turns out that such a type of function space is no longer appropriate. For this reason we introduce and discuss a new natural commodity space, which can be constructed in three independent and equivalent ways. Each approach departs...[Show more]

CollectionsANU Research Publications
Date published: 2018-03-27
Type: Journal article
URI: http://hdl.handle.net/1885/206289
Source: SIAM Journal on Financial Mathematics
DOI: 10.1137/17M1120877

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